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Название: Entropy and Random Vectors
Авторы: Johnson O., Suhov Y.
Barron(1) produced a proof of the Central Limit Theorem for real-valued IID random variables, in the sense of convergence in relative entropy. Here, we establish a similar result for independent real-valued random vectors, not necessarily identically distributed. The main developments required are a generalisation of De Bruijn’s identity, and various inequalities proposed in ref. 2.